Midori Munechika

Researcher Information

Degree

• Master of Economics
• MSc in Financial Management

Research funding number

• 10209992

J-Global ID

• 200901010008417672

Research Interests

• Financial crisis   Hedge funds   ファイナンス   国際金融   Finance   International finance   

Research Areas

• Humanities & social sciences / Money and finance
• Humanities & social sciences / Public economics, labor economics

Academic & Professional Experience

• 米国コロンビア大学ビジネススクール日本経済研究所客員研究員
• 英国ロンドン大学客員研究員
• Mie UniversityFaculty of Humanities, Law and Economics
• Colombia University (U.S.A), Center of Japanese Economy and Business, Visiting Fellow
• University of London(U.K.), Visiting Scholar
• Mie University, Lecturer, Associate Professor

Education

•        -   Sophia University  経済学研究科博士後期課程修了（満期単位取得）

Association Memberships

• 貨幣・マクロ及び金融研究グループ(Money・Macro & Finance Research Group)United Kingdom   金融学会   

Published Papers

• Hedge Fund Contagion during the Financial Crisis

  Midori Munechika

  The Economic Review of Toyo University 48 (2) 45 - 67 2023/03
• Time Dependence Structure of Hedge Fund Index Returns: Regime Switching Volatility and Crisis State

  Midori Munechika

  The Economic Review of Toyo University 46 (2) 97 - 120 2021/03
• ヘッジファンドーダイナミックな投資戦略のパフォーマンス特性

  棟近 みどり

  全国地方銀行協会『金融構造研究』 (39) 1 - 16 2017/06
• Performance Dynamics of Hedge Fund Index Investing

  MUNECHIKA Midori

  Performance Dynamics of Hedge Fund Index Investing 7 (11) 1729 - 1742 2016/11 [Refereed]
  
• Hedge Fund Index Investing: Asymmetric Volatility and News Impact Curves

  MUNECHIKA Midori

  The Journal of Contemporary Social Sciences 東洋大学現代社会総合研究所 (13) 45 - 53 1348-740X 2016/03
• Persistence and Volatility of Hedge Fund Returns: ARMA-GARCH Modeling

  MUNECHIKA Midori

  The Economic Review of Toyo University 40 (2) 2015/03
• Hedge Fund Leverage and Systemic Risk-Endogeneous Vulunerabilities via Pledged Collateral-

  MUNECHIKA Midori

  The Economic Journal of Toyo University 38 (2) 243 - 261 2013/03
• Systemic Risk and Hedge Funds-A Network View of Hedge Fund Strategies-

  MUNECHIKA Midori

  Institute of Social Sciences, Toyo University (1202) 1 - 16 2013/03
• Asymmetric Dependence of Hedge Fund Strategies to the Market

  MUNECHIKA Midori

  The Economic Review of Toyo University 東洋大学経済研究会 37 (2) 237 - 258 0385-0358 2012/03
• Rating Methodology in Structured Finance-Why Risk Shift Has Occurred in Re-securitization?-

  MUNECHIKA Midori

  The Economic Review of Toyo University 東洋大学経済研究会 35 (2) 159 - 183 0385-0358 2010/03
• Statistical Properties and Correlation Structure of Hedge Fund Index Returns

  棟近みどり

  『現代社会研究』（東洋大学現代社会総合研究所） (6) 103 - 111 2009
• Assessing Market Risk for Hedge Funds-Nonlinear Risk Exposures to the Market-

  Midori Munechika

  The Economic review of Toyo University 東洋大学経済研究会 34 (1・2合併号) 185 - 213 0385-0358 2009
• Statistical Properties and Correlation Structure of Hedge Fund Index Returns

  Midori Munechika

  The Journal of Contemporary Social Sciences (Institute of Social Sciences, Toyo University) 東洋大学現代社会総合研究所 (6) 103 - 111 1348-740X 2008
• 金融工学とリスク・マネジメント：マーコヴィッツ平均・分散アプローチを起点に確率ファイナンスの視点から

  棟近 みどり

  全国地方銀行協会『金融構造研究』 (28) 1 - 15 2006/06
• Stochastic Mean-Variance Optimization in Portfolio Analysis

  東洋大学『経済論集』 第31巻、第1号 2005
• Stochastic Mean-Variance Optimization in Portfolio Analysis

  MUNECHIKA Midori

  Economic Review of Toyo University 東洋大学経済研究会 31 (1) 1 - 21 0385-0358 2005
• The CAPM and the Single-Index Model-Ex-ante Expectaitons and Ex-post Tests-

  東洋大学『経済論集』 第29巻1号、pp.83-101. 2003
• The CAPM and the Single-Index Model-Ex-ante Expectations and Ex-post Tests-

  The Economic Review of Toyo University Vol. 29, No.1, pp.83-101. 2003
• Stock Price Movements and Univariate Time-series Models : Testing for Random Walks

  東洋大学グローバルエコノミー研究センターワーキングペーパー 23, 1-37 2002
• Efficient Capital Markets and Random Walk Hypothesis

  Munechika Midori

  The Economic review of Toyo University. 東洋大学経済研究会 27 (1) 251 - 283 0385-0358 2002
• Duration and Bond Portfolio Management

  東洋大学グローバルエコノミー研究センターワーキングペーパー 27, 1-17 2002
• Foundations of the Mean-Variance Analysis: Normal Distribution Hypothesis and Expected Utility

  棟近 みどり

  The Economic review of Toyo University 東洋大学経済研究会 28(1) (1) 51 - 87 0385-0358 2002
• Stock Price Movements and Univariate Time-series Models : Testing for Random Walks

  The Center for Research of Global Economy Working Paper 23, 1-37 2002
• Efficient Capital Markets and Random Walk Hypothesis

  The Economic Review of Toyo University 27 (1) 251 - 283 2002
• Duration and Bond Portfolio Management

  The Center for Research of Global Economy Working Paper 27, 1-17 2002
• Risk Reduction through Portfolio Diversification

  MUNECHIKA Midori

  Economic Journal of Toyo University 26 (2) 109 - 126 2001/02
• Risk Reduction Through Portfolio Diversification

  The Economic Review of Toyo University 26 (1・2合併) 109 - 126 2001
• Optimal Incentive Contracts and the Principal-Agent Problem

  MUNECHIKA Midori

  Economic Journal of Toyo University 東洋大学経済研究会 25 (2) 91 - 110 0385-0358 2000/03
• Optimal Incentive Contracts And the Principal-Agent Problem

  The Economic Review of Toyo University 25 (2) 91 - 110 2000
• Banking System Failures in the 1994 Mexican Crisis : A Problem of Asymmetric Information

  棟近 みどり

  The Economic Review of Toyo University 東洋大学経済研究会 24 (2) 99 - 128 0385-0358 1999
• Capital Inflows after Financial Liberalisation and Macrocconomic Policy in Mexico

  The Economic Review of Toyo University 21 (2) 83  1996
• Changing Trends of Securitization in the Euromarkets

  Financial Structure Studies 13 1991
• The Development of the Euroyen Market and Progress in Financial Liberalization

  MUNECHIKA Midori

  Journal of International Economic Studies Hosei University 3 45 - 66 0911-1247 1989
• Euro-securitization

  Report of Japan Society of Monetary Economics 66 1988
• In the Search for Factors of Growth of the Euro-yen Market : From the Point of View of a Substitute for the Forward Exchange Market

  Sophia Economic Review 31 (2) 1986
• Growth of the Euroyen Market and Domestic Financial Market

  Report of Japan Society of Monetary Economics 62 1986
• Credit and Liquidity Creation in the Eurodollar Market

  Financial Structure Studies 7 1985
• Dollar Asset Accumulation and the Euro-Dollar Market

  Sophia Economic Review 1985
• Assessing Market Risk for Hedge Funds-Nonlinear Risk Exposures to the Market

  Midori Munechika

  The Economic Review of Toyo University 34 (1/2) 185 - 213
• Foundations of the Mean-Variance Analysis : Normal Distribution Hypothesis and Expected Utility

  The Economic Review of Toyo University 28(1)

Books etc

• 「国際金融論の基礎」（『グローバル・エコノミー入門』所収）

  東洋大学経済学部国際経済学科著; 益田安良編; 分担執筆; 棟近みどり (Contributor第３章)勁草書房 2011/07
• メキシコ通貨危機-証券化と金融自由化の狭間で-

  渡辺愼一編『金融危機と金融規制』アジア経済研究所 1998
• The 1994 Mexican Crisis in the Context of Securitization and Financial Liberalization

  ┣DBFinancial Crises and Regulations(/)-┫DB, edited by Shinichi Watanabe 1998
• 国際金融市場の構造変化と自己資本比率規制-リスク・アンバンドリングへの対応

  堀内昭義・山田俊一編『発展途上国の金融制度と自由化』アジア経済研究所 1997
• Structural Changes in the International Financial Markets and the Bank Capital Regulation : Responses to Unbundling of the Financial Intermediation

  ┣DBFinancial System and Liberalization in Developing Countries(/)-┫DB, edited by Akiyoshi Horiuchi and Toshikazu Yamada 1997
• 「メキシコの金融自由化と財政赤字ファイナンス」(『発展途上国の金融改革と国際化』第5章所収)

  アジア経済研究所 1995
• "Financial Liberalization and Fiscal Deficit in Mexico" (┣DBFinancial Reform and Internationalization of Developing Countries(/)-┫DB, Chapter 5)

  the Institute of Developing Economies 1995
• 「ユーロ市場の成立と発展」

  尾上修悟編著『国際金融論』ミネルヴァ書房 1993
• The birth and development of the Euromarkets

  S. Onoc. eds. , ┣DBInternational finance(/)-┫DB, Minerva 1993
• 債務危機後のマクロ経済政策運営-メキシコのケース-

  堀内昭義編『累積債務と財政金融』(7章)アジア経済研究所 1991
• Macroeconomic Policy Management since Debt Crisis : The Experience in Mexico

  the Institute of Developing Economies 1991
• メキシコ債務危機の構造-外生ショックと国内マクロ経済政策-

  堀内昭義編『国際経済環境と経済調整』(13章)アジア経済研究所 1990
• ユーロ市場における途上国の資金調達とセキュリタイゼーション

  堀内昭義編『国際経済環境と経済調整』(5章)アジア経済研究所 1990
• Developing Country finance and Securitizatuion in the Euromarkets

  the Institute of Developing Economies 1990
• Structure f the Mexican Debt Crisis : External Shocks and Domestic Macroeconomic Policy

  the Institute of Developing Economies 1990

Conference Activities & Talks

• Analysis of Volatility and Contagion in Hedge Fund Strategies  [Not invited]

  MUNECHIKA Midori

  The 11th Economics & Finance Conference, Rome, University of Rome La Sapienza, The International Institute of Social and economic Sciences  2019/05  Oral presentation
• Analysis of Hedge Funds Volatility Subject to Change in Regime: A Markov Regime Switching Approach  [Not invited]

  MUNECHIKA Midori

  The 25th Quantitative Methods in Finance Conference  2017/12  Oral presentation  Sydney  Quantitative Finance Research Centre, University of Technology Sydney
  
• Risk Analysis of Hedge Fund Index in a Changing Market Environment Using Rolling ARMA-GARCH Modeling  [Not invited]

  MUNECHIKA Midori

  The 24th Quantitative Methods in Finance Conference  2016/12  Oral presentation  Sydney  Quantitative Finance Research Centre, University of Technology, Sydney
  
• Performance Dynamics of Hedge Fund Index Investing  [Not invited]

  MUNECHIKA Midori

  The 26th Asia-Pacific Conference on Economics and Finance, Singapore  2016/07  Oral presentation  Singapore  East Asia Research & East Asia Institute of Management & supported by BEFfore from Universiti Malaysia Sarawak
  
• Hedge Funds: Performance Dynamics of Investment Strategies  [Not invited]

  Midori Munechika

  Regional Banks Association of Japan_Study Group on Financial Structure  2016/06  Oral presentation
• Persistence and Volatility of Hedge Fund Returns: ARMA-GARCH Modeling  [Not invited]

  MUNECHIKA Midori

  Joint Conference on Institutional Investors and Emerging Market Finance  2015/09  Oral presentation

Research Grants & Projects

• Dynamic Change on Asset Prices and the concept of "time"

  Toyo University：特別研究

  Date (from‐to) : 2005/04 -2006/03 

  Author : Midori Munechika
• Dynamic Structural Change of Financial Intermediation and Restructuring of Business Models in the Japanese Banking Industry

  Japan Society for the Promotion of Science (JSPS) under the Ministry of Education, Culture, Sports, Science and Technology (MEXT)：Grant-in Aid for Scientific Research (C-No.15530227)

  Date (from‐to) : 2003/04 -2006/03 

  Author : Midori Munechika
• Capital Asset Pricing Theory and Behavioral Finance

  Toyo University：特別研究

  Date (from‐to) : 2004/04 -2005/03 

  Author : Midori Munechika
• Developing Country Finance and Securitization

  the Ministry of Education：Grant-in Aid for Scientific Research (No.08630096)

  Date (from‐to) : 1996/04 -1997/03 

  Author : Midori Munechika
• 途上国の資金調達とセキュリタイゼーション

  日本学術振興会：科学研究費助成事業

  Date (from‐to) : 1996 -1996 

  Author : 棟近 みどり

   

  本研究は、80年代末に国際金融市場に復帰した途上国の資金調達を証券化(セキュリタイゼーション)の視点から参考し、途上国にまで及んだ金融自由化の流れを背景に証券化が各国の金融システムを巻き込んでいく様相を明らかにした。具体的には、以下の項目について研究を行った。 1.国際金融市場における証券化:実態とその本質 (1)国際銀行業と金融仲介機能の新たな展開、(2)国際金融市場の構造変化、(3)BIS規制と証券化 2.途上国の資金調達と証券化 (1)債務危機とfinancial fragility、(2)金融自由化の下での資本流入、(3)メキシコ通貨危機と新興市場の動揺 ●証券化の本質は、リスク・アンバンドリング(分解)であり、BISはその対応として、信用リスク主体の自己資本比率規制からマーケット・リスクを含む規制へと展開してきている。(棟近みどり「国際金融市場の構造変化と自己資本比率規制」堀内昭義編『途上国の金融規制と自由化』参照。) ●94年末のメキシコ危機の不安定効果が他の新興市場へ波及し、通貨危機から伝播危機へと展開してゆく状況の中に、上記1.で分析した証券化の特質が浮かび上がっている。 ●また、国内市場における金融自由化が証券化の流れと錯綜し、マネタリー・コントロールを困難にしてゆく過程で国内銀行制度の弱体化が進み、伝播危機を深刻化していった。 ●今後、94年末のメキシコ危機の展開に見られる証券化の特質が、国際金融システム全体へ与える影響を明らかにするため、以下のトピックについて研究を進めていくつもりである。 (1)デリバディブに代表されるリスク・アンバンドリング(risk unbundling)としての証券化は、国際金融システムに不安定性をもたらすか否か。 (2)デリバティブの世界的浸透(途上国金融を含む)は、金融危機の伝播効果をどのように変えるか。
• Securitization in Euromarkets

  the Ministry of Education：Grant-in Aid for Scientific Research (No.2-351-6-13-03730041)

  Date (from‐to) : 1991/04 -1992/03 

  Author : Midori Munechika

Other link

researchmap

https://researchmap.jp/read0027614